|HAO YU, Department of Statistics and Actuarial Sciences, University of Western Ontario, London, Ontario N6A 5B7, Canada|
|Weighted Kolmogorov-Smirnov test of stock return distribution|
In this talk we demonstrate how Chibisov-O'Reilly theorem be used to do goodness-of-fit test for stock return distributions. The problem related to find the critical values for the test is discussed. The result shows this test is quite effective to deal with heavy tail distributions typically presented in stock return data.